جستجوی مقالات مرتبط با کلیدواژه "loss aversion" در نشریات گروه "مالی"

The efficient market hypothesis is based on the assumption that investors behave rationally, but studies in behavioral finance have contradicted this notion. The irrationality of investor behavior can be attributed to risk in less efficient markets, which can lead them to make decisions based on emotions. These emotional decisions impact firm performance. This study is to determine the influence of two investor behaviors, "loss aversion" and "overconfidence," on the performance of companies listed on the Tehran Stock Exchange. Loss aversion serves as an indicator of negative emotions, while overconfidence serves as an indicator of positive emotions. This study, to the best of our knowledge, is among the initial research in Iran's financial field to utilize loss aversion and overconfidence as indicators of negative and positive emotions, respectively. Based on these objectives, two hypotheses were developed in this study. The statistical population of this research consists of companies listed on the Tehran Stock Exchange (TSE). Data required for the statistical analysis were obtained from various sources, including the Rahvard Novin software, the TSE Technology Management Company website, and the financial statements of the companies. To test these hypotheses, a sample of 156 companies, listed on the Tehran Stock Exchange between 2013 and 2020, was selected using the screening method. The research questions were answered using the panel data method, descriptive statistics, correlation analysis, and multivariate regression model. The findings shed light on the correlation between investors' behavior and the performance of companies on the TSE. The study reveals a strong negative correlation between investors' loss aversion and the economic performance of companies. This suggests that more loss-averse investors tend to contribute to the lower economic performance of companies. Furthermore, the study shows a positive correlation between investors' overconfidence and market performance. This suggests that companies with more confident investors tend to perform better in the market. Interestingly, the study also found that Iranian investors tend to be more overconfident than risk-averse, meaning that their overconfidence outweighs their tendency to be loss-averse. This generally optimistic attitude of investors in the TSE has a positive impact on the overall market performance by encouraging investment and boosting market confidence. Loss aversion bias can lead investors to hold onto loss-making investments due to their fear of realizing losses. Pessimism and unfavorable stock market conditions may cause investors to prioritize avoiding losses over making strategic investment choices, ultimately reducing the economic performance of the company. Additionally, the overconfidence bias can cause investors to underestimate the risks associated with assets, leading them to base their investment decisions solely on simple criteria they deem important in their minds, without exercising sufficient care and attention. The rise in demand may lead to an increase in the securities' price, ultimately enhancing the overall value of the company.

The purpose of this study is to investigate the effect of loss-aversion behavior on multi-period investment decisions. For this purpose, two models of portfolio optimization have been designed. Instead of a single-period portfolio model, a three-period model has been used. In order to bring the optimization models closer to the real world, in addition to the CVaR as one of the main constraints, the transaction cost and the lower bound and upper bound investment in each asset are also considered. two models of loss aversion and mean-CVaR optimization were solved using PSO algorithm. Also, some important criteria such as initial loss aversion coefficient and reference point are used to test the robustness of model. The results based on the optimal wealth and Sharp ratio showed that loss-averse investors tend to concentrate most of their wealth and have a better performance than rational investors. The impact of CVaR on investment performance was identified. When the market is falling, investors with higher risk aversion avoid extreme losses and obtain more gains.

The disposition effect refers to the tendency of selling stocks that have appreciated at price and holding stocks whose price is lower than the purchase price. Although an extensive literature has examined and confirmed the existence of the disposition effect among individual investors, there is no consensus in the literature as to whether institutional investors are also subject to similar behavioral biases or not. We test for the presence of the disposition effect among a sample of Iranian mutual funds.

We measure the disposition effect both at the aggregate and fund level, using hand-collected quarterly transactions data for a sample of Iranian mutual funds from 2010 to 2017. Our data has two unique features compared to similar studies; first, we know the exact buying price of stocks held in mutual funds' portfolios, whereas most studies need to estimate the buying price by making assumptions about purchase timing and using the prevailing market prices as a proxy. Second, unlike most studied markets, there are no capital gains taxes on the Tehran Stock Exchange and tax-motivated trading does not affect our findings.

We find that Iranian mutual funds tend to sell winning stocks more quickly than losing stocks. To be specific, the probability of selling a winning stock is approximately 1.46 times the probability that a losing stock be sold. Excluding taxes and commissions in calculating the realized profit on the sold stocks, the ratio grows to 1.51. The measured disposition effect is not driven by the effect of tax-motivated selling, since there are no capital gains taxes on the Tehran Stock Exchange. The documented disposition effect cannot be explained by funds’ internal portfolio rebalancing regulations nor by the potentially higher trading cost of selling low-priced stocks. The disposition effect exhibits a mild downward trend line throughout the sample period; however, the downward trend is not statistically significant. Partitioning the data based on the fund's portfolio value shows that both more skilled and less skilled fund managers – as proxied by fund size - are prone to the disposition effect.

Our study finds strong support for the disposition effect among mutual funds. Our results are relevant for both mutual fund managers and policy-makers.

In this article utility of investors contains utility from consumption and utility from fluctuations in their investments. To prove the effect of prior performance of investors on stock price first the utility function was defined based on Prospect theory and variables relating to prior outcomes and loss aversion were factored into utility function and then price equations were defined. In the other form, variables relating to prior performance in utility function were removed and price equations were defined. Next, the P/D ratio and logarithmic growth of stock prices were simulated in both forms and compared against real market data. By utilizing ANOVA and K-Means in the 1381-1393 period, it became clear that the mean and standard deviation in the first form are closer to real market data than those of the second form, meaning that removing variables relating to investor's prior returns from the utility function resulted in weaker estimates, the effect of prior investment performance of investors was confirmed

The aim of this study was to "study behavioral factors in the selection of optimal portfolio Iran capital market" is. In order to achieve this goal, the dominant factors for mental accounting and loss aversion behavior and investment in stock and optimal portfolio selection with high efficiency compared to standard finance Using data from 106 firms listed in the Tehran Stock Exchange during the period of 5 years from 2011 to 2014 And regression analysis, variance analysis, was measured.The results showed that the expected return on portfolio behavioral model with an emphasis on mental accounting and loss aversion (as an indicator of behavioral factors) is greater than the expected return of the Standard Model and The hypothesis was accepted.

One of the causes of underdevelopment stock in developing countries such as Iran is inadequate growth of decision-making tools for the investors, especially beginners. Therefore, in this study an index tracking model with regard to loss aversion limitation and restriction of Integer constraints on selected assets, to create an index tracker basket (portfolio) has been applied. The key difference of this study to other similar national researches is in considering of loss aversion, this means that the influences which investors accepted from positive and negative fluctuations in their own portfolio’s output, has not the same utility and hence their impact on investment model is not equivalent. The space of the solution of this problem is discrete and non-convex, so common numerical methods for solving this problem are not usable. Other innovations from this research, the use of the Bing bang - Big Crunch algorithm as a new meta-heuristic algorithms for the solution and it’s comparison with differential evolution algorithm with using of stock’s daily price data available on the Dow Jones index from 2000 to 2006. The obtained results indicate good performance of the algorithm of the Big Bang-Big Crunch toward differential evolution algorithm according to performance criteria. Then this algorithm has been used for Index tracking of 30 largest companies in Tehran Stock Exchange from (2012-2014) 1391 to 1393 A.H.S that the result of it was achieving to an efficient portfolio and a risk equivalent to index of 30 companies in Tehran Stock Exchange.

This article investigates fluctuations in stocks prices at Tehran Stock Exchange, assuming that investor's utility stems from fluctuations in value of stocks as well as consumption. Thus, the two behavioral phenomena discussed in Prospect theory, i. e. Loss aversion and House money effect, were factored into Consumption-based Asset Pricing Model and Investor's Utility Function, which takes into account utility both from consumption and financial investments. Price equations were defined in the two economic environments based on Lucas Theory (1978). The processes of consumption and dividend are equal in the first economy but different in the second economy. Next the P/D ratio was simulated in both economies and then compared with real market data. Utilizing ANOVA and K-Means, it became clear that the mean and standard deviation in the second economy are closer to real market data than those of the first economy. It, therefore, can be concluded that the second economy provides a more accurate estimation of the P/D ratio, implying that the aforementioned behavioral phenomena do in fact exist in the market and affect investor's pricing of stocks.